Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0146 |
| Annualized Std Dev | 0.0437 |
| Annualized Sharpe (Rf=0%) | 0.3343 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3441.0000 |
| NAs | 1.0000 |
| Minimum | -0.0591 |
| Quartile 1 | -0.0011 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0013 |
| Maximum | 0.0561 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0028 |
| Skewness | -0.5376 |
| Kurtosis | 114.4619 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0020 |
| Gain Deviation | 0.0021 |
| Loss Deviation | 0.0022 |
| Downside Deviation (MAR=210%) | 0.0087 |
| Downside Deviation (Rf=0%) | 0.0019 |
| Downside Deviation (0%) | 0.0019 |
| Maximum Drawdown | 0.0777 |
| Historical VaR (95%) | -0.0035 |
| Historical ES (95%) | -0.0057 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-03-18 | 2008-10-13 | 2008-11-05 | -0.0777 | 163 | 146 | 17 |
| 2016-07-06 | 2018-10-05 | 2019-06-25 | -0.0672 | 748 | 569 | 179 |
| 2008-12-19 | 2009-06-08 | 2010-08-11 | -0.0595 | 413 | 116 | 297 |
| 2012-07-24 | 2013-09-05 | 2016-06-27 | -0.0463 | 988 | 281 | 707 |
| 2010-11-05 | 2011-02-08 | 2011-08-04 | -0.0447 | 188 | 65 | 123 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | -0.4 | 0.5 | -0.1 | 0.8 | -0.6 | 0.1 | -0.4 | 0.3 | 0.3 |
| 2008 | -0.2 | 0.8 | -1 | -0.4 | 0.2 | -0.2 | -0.1 | 0 | 0.3 | -0.4 | 0.7 | -0.5 | -0.7 |
| 2009 | -0.2 | 0 | -0.1 | -0.2 | -1.1 | -0.2 | 0.3 | -0.2 | 0.2 | 0.5 | 0 | -0.1 | -1.2 |
| 2010 | -0.2 | 0 | -0.3 | 0.3 | -0.2 | -0.2 | 0.3 | -0.4 | -0.2 | -0.2 | -0.8 | 0.1 | -1.7 |
| 2011 | -0.4 | 0.1 | -0.1 | 0.1 | 0.2 | -0.5 | 0.2 | 0 | 0.2 | 0.2 | -0.1 | 0.1 | -0.1 |
| 2012 | -0.2 | -0.2 | 0 | -0.2 | 0.1 | -0.1 | -0.3 | 0.1 | -0.1 | -0.2 | 0 | -0.2 | -1.3 |
| 2013 | -0.2 | 0 | 0 | -0.1 | -0.1 | -0.2 | -0.4 | -0.1 | -0.2 | -0.3 | 0 | 0 | -1.5 |
| 2014 | 0.2 | -0.1 | -0.2 | 0 | -0.1 | -0.2 | 0.2 | 0.1 | 0.2 | 0 | 0 | 0.2 | 0.4 |
| 2015 | 0.3 | 0.1 | -0.1 | -0.2 | -0.4 | -0.3 | 0.3 | 0.1 | -0.2 | 0 | 0 | 0.6 | 0.4 |
| 2016 | -0.3 | -0.5 | -0.1 | 0 | -0.1 | 0.1 | -0.3 | -0.1 | -0.1 | -0.1 | -0.3 | 0.2 | -1.5 |
| 2017 | -0.3 | -0.4 | 0.1 | -0.2 | -0.1 | -0.1 | 0 | -0.2 | -0.1 | -0.1 | 0 | 0 | -1.4 |
| 2018 | -0.3 | 0.1 | 0.1 | -0.3 | -0.5 | -0.1 | -0.4 | 0 | -0.3 | -0.1 | 0 | 0.5 | -1.1 |
| 2019 | -0.6 | -0.4 | -0.6 | -0.2 | 0.5 | -0.3 | 0.6 | 0 | 0 | -0.4 | 0 | -0.2 | -1.6 |
| 2020 | 0.3 | 0.8 | 0 | -0.1 | -0.1 | -0.2 | 0 | 0.1 | 0 | -0.1 | -0.3 | 0 | 0.5 |
| 2021 | 0 | 0 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-30 26.3 SPY 153. 0.0081 0.007 0.035 0.0891 0.196 0.367 0.420 GLD 64.7 -0.0054 -0.0077
2 2007-06-01 26.2 SPY 154. 0.005 0.02 0.0304 0.111 0.208 0.365 0.44 GLD 66.4 0.0137 0.0261
3 2007-06-08 26.1 SPY 151. 0.013 -0.0197 -0.0008 0.0729 0.200 0.317 0.460 GLD 64.2 -0.0159 -0.0334
4 2007-06-11 26.1 SPY 151. 0.0017 -0.0182 0.0115 0.0731 0.203 0.317 0.464 GLD 64.7 0.0075 -0.0277
5 2007-06-12 26.1 SPY 150. -0.0109 -0.025 -0.008 0.0825 0.194 0.315 0.442 GLD 64.1 -0.00930 -0.0342
6 2007-06-22 26.2 SPY 151. -0.0094 -0.0165 -0.0124 0.0499 0.204 0.323 0.488 GLD 64.8 0.0034 -0.0011
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
